03 March 2023 Europe | Rates | UK | US

Rates PCA Model: Tactical Risk of Pared ECB Pricing

By Henry Occleston
4 min read

We run a PCA model on UK, German, and US bond curves and GBP, EUR, USD and JPY swap curves to assess signs of market dislocation. No adjustment is made for market (il)liquidity.

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Rates PCA Model

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21 November 2024

Henry Occleston
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15 November 2024

Henry Occleston
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Rates PCA Model

DM Rates PCA Model Adds New Trade: Contraction in Bund 5s10s30s

08 November 2024

Henry Occleston
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